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ACCELERATING PATHWISE GREEKS I...
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Joshi, Mark
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Chan, Jiun Hong
4
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Yang, Chao
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Risk : managing risk in the world's financial markets
4
The journal of computational finance
3
Journal of economic dynamics & control
2
IIE transactions / Institute of Industrial Engineers, Norcross, Ga : industrial engineering and development
1
Management science : journal of the Institute for Operations Research and the Management Sciences
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OLC EcoSci
ECONIS (ZBW)
115
RePEc
18
USB Cologne (EcoSocSci)
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1
FAST MONTE CARLO GREEKS FOR FINANCIAL PRODUCTS WITH DISCONTINUOUS PAY‐OFFS
Chan, Jiun Hong
;
Joshi, Mark
- In:
Mathematical finance : an international journal of …
23
(
2013
)
3
,
pp. 459-495
Persistent link: https://www.econbiz.de/10010131900
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2
Fast and accurate long-stepping simulation of the Heston stochastic volatility model
Chan, Jiun Hong
;
Joshi, Mark
- In:
The journal of computational finance
16
(
2013
)
3
,
pp. 47-98
Persistent link: https://www.econbiz.de/10010104411
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3
Practical policy iteration: Generic methods for obtaining rapid and tight bounds for Bermudan exotic derivatives using Monte Carlo simulation
Beveridge, Christopher
;
Joshi, Mark
;
Tang, Robert
- In:
Journal of economic dynamics & control
37
(
2013
)
7
,
pp. 1342-1361
Persistent link: https://www.econbiz.de/10010109464
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4
Interest rate derivatives - Juggling snowballs - Previous work on the valuation of cancellable snowball swaps in the Libor market model suggested the use of nested Monte Carlo simulations was needed to obtain accurate prices. Here, the authors introduce new techniques that allow tight bounds to be obtained quickly without sub-simulations. A key part of their work is a new identification of points ...
Beveridge, Christopher
;
Joshi, Mark
- In:
Risk : managing risk in the world's financial markets
21
(
2008
)
12
,
pp. 100-104
Persistent link: https://www.econbiz.de/10008157245
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5
CUTTING EDGE Credit derivatives - Intensity gamma - The authors develop a new model for correlation of credit defaults based on a financially intuitive concept of business time similar to that in the variance gamma model for stock price evolution.
Joshi, Mark
;
Stacey, Alan
- In:
Risk : managing risk in the world's financial markets
19
(
2006
)
7
,
pp. 78-83
Persistent link: https://www.econbiz.de/10007280030
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6
Book review: The Concepts and Practice of Mathematical Finance
Joshi, Mark
- In:
Risk : managing risk in the world's financial markets
18
(
2005
)
3
,
pp. 54
Persistent link: https://www.econbiz.de/10007024124
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7
Minimal partial proxy simulation schemes for generic and robust Monte Carlo Greeks
Chan, Jiun Hong
;
Joshi, Mark
- In:
The journal of computational finance
15
(
2011
)
2
,
pp. 77-111
Persistent link: https://www.econbiz.de/10009816297
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8
Monte Carlo Bounds for Game Options Including Convertible Bonds
Beveridge, Christopher
;
Joshi, Mark
- In:
Management science : journal of the Institute for …
57
(
2011
)
5
,
pp. 960-975
Persistent link: https://www.econbiz.de/10009014343
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9
Fast and accurate Greeks for the LIBOR market model
Denson, Nick
;
Joshi, Mark
- In:
The journal of computational finance
14
(
2011
)
4
,
pp. 115-115
Persistent link: https://www.econbiz.de/10009181133
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10
Algorithmic Hessians and the fast computation of cross-gamma risk
Joshi, Mark
;
Yang, Chao
- In:
IIE transactions / Institute of Industrial Engineers, …
43
(
2011
)
12
,
pp. 878-893
Persistent link: https://www.econbiz.de/10009330185
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